Optimized calibration of currency market strategies
dc.contributor.author | Çağlayan, Mustafa Onur | |
dc.contributor.author | Pinter, Janos D. | |
dc.date.accessioned | 2016-02-18T12:08:34Z | |
dc.date.available | 2016-02-18T12:08:34Z | |
dc.date.issued | 2010 | |
dc.identifier.isbn | 978-9955-28-598-4 | |
dc.identifier.uri | http://hdl.handle.net/10679/3133 | |
dc.description.abstract | We propose a new financial indicator and risk metric embedded in a currency trading model to assist investors in currency markets. Since our model is highly nonlinear, we utilize global optimization technology to maximize the performance of the currency basket, based on our selection of key decision variables. We introduce the model and present numerical results based on actual market data. | |
dc.language.iso | eng | en_US |
dc.relation.ispartof | 24th Mini EURO Conference “Continuous Optimization and Information-Based Technologies in the Financial Sector” (MEC EurOPT 2010) | |
dc.rights | openAccess | |
dc.title | Optimized calibration of currency market strategies | en_US |
dc.type | Conference paper | en_US |
dc.peerreviewed | yes | |
dc.publicationstatus | published | en_US |
dc.contributor.department | Özyeğin University | |
dc.contributor.authorID | (ORCID 0000-0002-8598-4269 & YÖK ID 21940) Çağlayan, Mustafa | |
dc.contributor.authorID | (ORCID & YÖK ID 202094) Pinter, Janos | |
dc.contributor.ozuauthor | Çağlayan, Mustafa Onur | |
dc.contributor.ozuauthor | Pinter, Janos D. | |
dc.identifier.startpage | 5 | |
dc.identifier.endpage | 10 | |
dc.subject.keywords | Quantitative financial model development | |
dc.subject.keywords | Currency markets | |
dc.subject.keywords | Globally optimized trading strategy | |
dc.subject.keywords | Numerical results | |
dc.identifier.scopus | SCOPUS:2-s2.0-84905454956 | |
dc.contributor.authorMale | 2 | |
dc.relation.publicationcategory | Conference Paper - International - Institutional Academic Staff |
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